Gap long report

Rows: 35983, Dates: 3064, Direction: long

Performance summary

Overall win rate: 72.95%  |  Profit factor: 5.46

5-day performance by year

Year Trades Win Rate % Profit Factor Avg MFE % Avg MAE %
2013 785 66.50 4.36 7.30 3.21
2014 1040 65.00 4.03 5.80 4.97
2015 2442 79.32 7.16 10.62 2.65
2016 1907 66.23 4.04 7.21 6.59
2017 1178 63.58 3.82 9.03 5.43
2018 1805 66.09 4.06 7.62 6.70
2019 1525 62.69 3.64 5.77 5.88
2020 11604 61.33 4.05 10.37 13.00
2021 3060 69.97 4.60 8.29 7.75
2022 3739 68.63 3.80 11.43 7.66
2023 2069 65.30 3.70 5.93 5.61
2024 2829 60.16 2.61 6.63 5.03
2025 2000 71.40 4.45 9.28 8.03

10-day performance by year

Year Trades Win Rate % Profit Factor Avg MFE % Avg MAE %
2013 785 72.48 5.67 9.46 5.06
2014 1040 71.15 5.29 8.38 6.93
2015 2442 82.68 8.95 14.45 4.80
2016 1907 73.83 5.65 10.89 8.39
2017 1178 69.61 4.91 11.74 7.63
2018 1805 74.79 5.82 10.90 8.94
2019 1525 68.92 4.56 8.56 7.98
2020 11604 71.05 5.94 13.94 16.51
2021 3060 75.78 6.01 11.34 11.07
2022 3739 76.04 5.33 18.23 11.15
2023 2069 70.81 4.61 8.22 7.73
2024 2829 66.42 3.31 9.41 6.85
2025 2000 77.10 5.83 12.07 9.47

Daily retracement rates

Monthly win rates

Monthly win rate (5d vs 10d)

Gap size distribution

Retracement rate by gap bucket (10d)

Win rate vs gap size

Win rate vs distance to AVWAP

Win rate: above vs below 330-SMA

Win rate by distance to 330-SMA

Win rate vs SPY daily change

Expected P&L (10k/trade) — Equity Curve

Total expected P&L 5d: $12,799,614  |  10d: $14,534,055

Gap size vs 10d retrace %

SPY vs 10d retrace rate (by day)

Top 20 by 10d MFE%

ticker date gap_up_percent mfe_percent_10d mae_percent_10d retrace_percentage_10d
HKD 2022-07-20 11.54 12244.44 11.64 119539.43
SR 2015-02-27 97.78 6265.38 -4753.85 305.36
HKD 2022-07-26 5.02 4437.92 12.84 36849.36
SR 2015-02-13 97.62 4080.00 24.00 702.16
HKD 2022-07-27 8.93 3231.99 9.30 50330.26
HKD 2022-07-28 7.38 1319.61 19.44 10544.57
CBIO 2015-08-24 89.19 1239.58 -726.04 2251.35
WTW 2019-04-11 8.52 1176.73 4.71 35557.56
GME 2021-01-20 5.06 1134.66 5.42 17104.26
TOPS 2017-06-22 10.00 781.25 -62.50 25039.37
JNUG 2015-09-28 7.81 682.10 3.78 22876.13
SQQQ 2022-01-11 79.79 647.74 3.42 286.19
SRTY 2022-01-11 80.07 624.47 2.36 244.87
HUDI 2022-10-26 6.39 608.34 72.20 2787.14
RSLS 2018-08-08 79.09 601.52 24.24 1506.74
TOPS 2017-06-20 5.00 571.43 23.81 10674.42
JNUG 2015-09-22 6.57 541.03 11.23 22661.74
BLIN 2017-07-18 5.08 536.36 1.82 5899.85
HUDI 2022-10-25 10.67 519.00 59.72 2376.63
SDS 2022-01-11 79.95 518.33 1.39 203.25